Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0056
Annualized Std Dev 0.1624
Annualized Sharpe (Rf=0%) -0.0344

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1282
Quartile 1 -0.0044
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0046
Maximum 0.1822
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0102
Skewness 0.1095
Kurtosis 33.1836

Downside Risk

Close
Semi Deviation 0.0074
Gain Deviation 0.0077
Loss Deviation 0.0085
Downside Deviation (MAR=210%) 0.0124
Downside Deviation (Rf=0%) 0.0074
Downside Deviation (0%) 0.0074
Maximum Drawdown 0.4991
Historical VaR (95%) -0.0141
Historical ES (95%) -0.0244
Modified VaR (95%) -0.0096
Modified ES (95%) -0.0096
From Trough To Depth Length To Trough Recovery
2004-03-30 2008-10-10 2012-06-28 -0.4991 2079 1143 936
2012-10-26 2020-03-23 NA -0.4250 2112 1861 NA
1999-01-07 2000-03-13 2003-05-06 -0.2930 1087 298 789
2003-06-06 2003-08-15 2004-01-14 -0.1140 154 50 104
2012-07-30 2012-08-22 2012-10-03 -0.0724 47 18 29

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.7 0.7 0.7 0.7 0.7 -0.7 0 1.6 0.8 0.8 0 0.9 7.1
2000 -0.8 0.9 -0.8 1.7 1.7 -0.8 0.8 0 0.8 -1.6 0.8 0 2.5
2001 -2.4 0.9 0.8 -0.5 0.9 0.7 -2.1 0.4 1.7 1.4 -0.1 0.2 1.9
2002 1.7 -0.4 1.3 0.5 0.9 0.7 0.4 -0.3 -0.5 0.7 0.5 0.5 5.8
2003 0.5 1.2 -0.1 0 0 -0.3 -0.5 -0.3 -0.1 -0.2 0 0.7 0.8
2004 0.2 0 -1.3 0.5 -0.3 0.5 -0.1 0.1 0.2 0.4 0.3 -0.4 0.1
2005 -0.4 0 0.8 0 1.2 -0.2 -0.6 1.2 0.2 -0.1 -0.1 0.3 2.2
2006 -0.1 -0.4 0.5 0 1.2 0.1 0.7 0.4 0.5 0.4 0.1 -0.2 3.2
2007 0.1 -0.6 -0.2 0.6 -0.4 0.3 0.8 -0.6 0.8 -1.6 0.7 0.7 0.7
2008 -0.6 0.7 0.6 0.5 0.5 0.9 -0.7 0.1 0.3 1.9 -3.4 0.6 1.3
2009 -0.7 2.2 1 0.4 1 0.1 1.4 -1 0.2 0.7 -0.5 0 5.1
2010 0 -0.1 0.8 0.4 -1 -0.8 0.2 -0.5 0.6 0.9 -0.4 2.8 2.9
2011 0.2 0.6 -0.9 2 -0.1 0.5 3.6 -0.1 0.6 -0.4 -1.2 -0.3 4.4
2012 0.2 -0.9 0.7 0.7 -0.4 0.5 0.6 0.3 -0.1 2.5 0.4 -1.2 3.2
2013 -0.6 0.3 -1.2 0.2 -1.7 0.5 -0.9 -0.7 -0.7 -1.2 0.5 -0.6 -6
2014 0.5 0.3 1.1 0.7 -0.3 0 -0.3 0.2 0.7 0.4 0.3 0.4 4
2015 0.2 1.7 0 -0.8 0.6 -0.6 0.7 0.3 -0.3 0.2 0.6 -0.3 2.3
2016 0.6 0.2 0.2 -0.2 0.6 -0.2 -0.7 0.5 -1 0.3 -1.4 0.1 -0.9
2017 -0.3 -0.8 -0.3 0.6 0.3 0.6 0.3 -0.6 -0.5 0.2 0.3 0.6 0.3
2018 -0.1 -0.1 1.1 0.5 0 0.9 -0.4 0.2 0 0.9 0.5 0 3.6
2019 0.3 0.4 0.5 0.5 0.7 0.2 0.2 2.1 -1.2 0.2 0.5 -0.1 4.3
2020 0 -7.5 -2.7 0.9 0.7 0.2 0.3 0.5 -1.7 0.2 -0.5 1.1 -8.3
2021 0.3 -0.2 0 NA NA NA NA NA NA NA NA NA 0.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  9.75 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  9.69 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  9.81 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  9.75 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  9.75 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  9.75 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart